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The Stationarity Problem in the Use of the Market Model of Security Price Behavior.

Stephen L. Meyers

Assistant Professor of Business, University of Wisconsin. 1

The Accounting Review 1973

Abstract The article discusses stationarity economic problems associated with the use of market model of security price behavior. A table presented in the article indicates the percentages of variance in the logarithms of monthly price relatives for 94 stocks. The findings indicates that the signs or magnitudes of residuals are caused by any factors other than a poorly specified model. The authors of the article did not intent to suggest that the use of the market model in measuring the effect of accounting numbers on individual stock prices should be abandoned.

DOI
10.2308/tar-4497651
Volume
48 (2)
Pages
318-322
Language
en
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